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Best Fixed Income Paper 2018

FTSE Russell wins "Best Fixed Income Paper 2018"

For decades, asset allocators have used a variety of widely accepted metrics to define the valuation of equity markets. In bond markets, however, the concept of "value" is less well-defined and understood. Our winning paper, from FTSE Russell, sets out the approach they've developed to identify a "value factor" in corporate bond markets.

Although the concept of "value" in equity markets is well-accepted and much discussed, there is not an equivalent body of research, or indeed a universally-accepted approach, in fixed income markets. This 26-page paper from FTSE Russell sets out their approach to the fixed income "value factor", detailing a cross-sectional approach and using various drivers of credit risk and credit spreads. The report shows results that are simulated across a variety of global corporate bond markets.

Edited by Martin Fridson, this 66-page document consists of six chapters, each written by fixed income specialists, providing the reader with a comprehensive view of the art and science of high-yield credit analysis. The report enables investors to more fully understand the dynamics of the high-yield bond market and the forecasting of default rates.

Published in the Journal of Portfolio Management, this 14-page paper describes a style-based framework designed to generate alpha in sovereign and corporate fixed income markets. The three authors, Jordon Brooks, Diogo Palhares and Scott Richardson, show that the added value from this approach is highly diversified with respect to the credit risk premium and the term premium (which most would consider to be the "classic" risk premiums for bond markets).

In this 47-page "Staff Working Paper", the BoE's Paul Schmelzing undertakes an ambitious investigation of 800 years of bear and bull markets in fixed income. This well-timed study presents case studies to help understand the drivers of bond market reversals, and to compare these with the present day. The author suggests that lessons for the present day could be learned by examining the inflation dynamics which led to the 1965-70 sell-off in US bond markets.

For compliance reasons, this paper is only accessible in certain geographies

Invesco's annual Global Fixed Income Study identifies key themes relating to how asset owners around the world are structuring and managing their fixed income allocations. The conclusions of the report (next available in January 2019) are founded upon the results of 70-80 interviews with fixed income specialists working for pension funds, insurance companies, sovereigns and wealth managers.

For compliance reasons, this paper is only accessible in North America and South America

In this 16-page report, AB describes the massive changes that have, and are, taking place in fixed income portfolio management in the areas of research, trading and execution. The authors argue that asset managers who have fully integrated new technology into their investment processes will see a clear competitive advantage versus those who have not.

This 30-page Macquarie research paper has a clear focus: to examine the relationship between ESG factors and credit quality. The authors examine how the three components of ESG (environmental, social and governance) impact the pricing of credit, showing how ESG factors are responsible for part of the yield spread that cannot be explained by credit ratings. Furthermore, the paper argues that some factors are overpriced whilst some are underpriced. Therefore, from a purely return-based perspective, there is advantage in tilting a credit portfolio towards certain ESG factors and away from others.

Digital Assets for Award Winners (including highly commended papers)

Savvy Investor has created digital assets (award banners and links) for you to publicise your award in social media, blogs, emails, newsletters and on your website.

Savvy Investor is the world’s leading resource hub for institutional investors. Having uploaded more than 25,000 pensions and investment white papers since launch, we have a unique platform from which to host these Awards. The Savvy Investor Awards are judged on the basis of the quality and readability of the paper and its appeal to our institutional investor audience. Since launch in 2015, more than 33,000 institutional investment professionals have registered for the site, with 200-250 new members joining every week.

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